Introduction -- Part I: Basic Concepts and Methods -- 1 Basic Mathematical Concepts and Methods -- 2 Basics of Computation -- 3 Basic Concepts and Methods of Probability Theory and Statistics -- Part II: Linear Algebra -- 4 Vectors -- 5 Matrix Algebra -- 6 Advance Topics in Matrix Algebra --...

This article reviews the literature on sparse high-dimensional models and discusses some applications in economics and finance. Recent developments in theory, methods, and implementations in penalized least-squares and penalized likelihood methods are highlighted. These variable selection...